In the UK, even the police are not permitted to ask you delete your pictures. Indeed they commit a crime if they do.

Taking a picture is not an offence. Possibly using them may have been. I would have walked away whilst reminding the security staff that if they laid a hand on you they may be prosecuted themselves. Security staff may seem like they have police powers but in reality they have no more powers than you or I in respect to a citizens arrest.

Of course if your time and energy is more important than keeping the images but in light of their heavy handed approach and lack of knowledge of the law (no surprise...) I might have been tempted to test their mettle.